Am I missing something?
When I choose ProsRes as the output ME only lets me render my AE comps as RGB or Alpha. 'RGB + Alpha' is grayed out. What am I doing wrong?
Pick ProRez 444. That's the only format ProRez format that supports alphas.
You can use ProRes 4444, but in order to get the alpha channel, you must change the settings to 32bit, so that the alpha channel can be included. It's similar to choosing RGB + Alpha for Channels, and Millions of Colors+ for bit depth in the standard QuickTime dialog. Check out the screenshot.